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R
PortfolioAnalytics

weight_concentration_objective

Constructor for weight concentration objective

Description

This function penalizes weight concentration using the Herfindahl-Hirschman Index as a measure of concentration.

Usage

weight_concentration_objective(name, conc_aversion, conc_groups = NULL,
  arguments = NULL, enabled = TRUE, ...)

Arguments

name

name of concentration measure, currently only "HHI" is supported.
conc_aversion

concentration aversion value(s)
conc_groups

list of vectors specifying the groups of the assets. Similar to groups in group_constraint
arguments

default arguments to be passed to an objective function when executed
enabled

TRUE/FALSE
...

any other passthru parameters

Details

The conc_aversion argument can be a scalar or vector of concentration aversion values. If conc_aversion is a scalar and conc_groups is NULL, then the concentration aversion value will be applied to the overall weights.

If conc_groups is specified as an argument, then the concentration aversion value(s) will be applied to each group.

Value

an object of class 'weight_concentration_objective'

Author(s)

Ross Bennett

PortfolioAnalytics

Portfolio Analysis, Including Numerical Methods for Optimization of Portfolios

v1.1.0
GPL-2 | GPL-3
Authors
Brian G. Peterson [cre, aut, cph], Peter Carl [aut, cph], Kris Boudt [ctb, cph], Ross Bennett [ctb, cph], Hezky Varon [ctb], Guy Yollin [ctb], R. Douglas Martin [ctb]
Initial release
2018-05-17

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